Cardinality-constrained distributionally robust portfolio optimization

Ken Kobayashi, Yuichi Takano, Kazuhide Nakata

Abstract: Highlights•Distributionally robust portfolio optimization model with a cardinality constraint.•Mixed-integer semidefinite optimization reformulation.•Specialized cutting-plane algorithm with guaranteed global optimality.•Positive semidefinite matrix completion technique to accelerate the algorithm.•Good computational efficiency and out-of-sample investment performance.